Regret it was my fault for this post being late.  Twist had her charts done quite a while ago, but we at Doom North have been busy tying Igor down and such-like tasks in preparation for hurricane Earl expected tomorrow.

This week the Fed’s own holdings of MBS were static, rising just $0.001 billion (a “mere” million dollars). On the other hand, foreign central banks increased their holdings of Treasury Debt at the sixth fastest rate since February 2000, more than a decade ago. What’s that all about?

This week’s Reuters report¹ was, as usual, based on the weekly update from the NY Fed’s H.4.1 table site.² Here is Doom’s updated CSV version³ of the agencies and treasuries foreign central bank holdings data set.

You can see that cenbank treasuries holdings have been shooting to the moon recently. I have no idea what this means, or who’s doing the buying.

Treasury Debt holdings blasted up $27.442 billion. As noted above, that’s #6 on the all time list.

Agencies nudged up $1.149 billion.  That number is now back at its June 16th value.

*Agen-FM: The dotted line is the foreign central banks’ holdings of Agency Debt reduced by the amount of the Fed’s own holdings of MBS.  Recall that the FRBNY has a foreign component, and indeed a foreign Class A Director (the Fed’s 2nd District includes Puerto Rico and the Virgin Islands).  The red line’s amazing post-January ’09 levity might possibly be explained if the Popular bit of the NY Fed suddenly acquired a craving for US residential real estate exposure.  Then the red line might have some admixture of green line.  The dotted line is the agencies number under the assumption that all the green stuff is also under the red, which obviously can’t be true with the dotted line below zero   That being said, my dirty mind is now wondering whether someone in San Juan may have recently discovered an appetite for treasuries.  Without an audit, we’ll never know for sure …

This week saw a net surge of $28.591 billion, a frenetic spree of over $4 billion a day, where $1 billion is a healthy rate.

Twist’s ratios graphs continue to plunge.

The Setser treasuries component is defying its recent momentum and heading back up.

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Notes and References

[1]: “Foreign central bank U.S. debt holdings rise – Fed”, by John Parry, Reuters, September 2, 2010.

[2]: “H.4.1 Factors Affecting Reserve Balances”, Federal Reserve Statistical Release (weekly), Federal Reserve Bank of New York.

[3]: The updated data set as a Comma Separated Value (CSV) file is here. (includes the FedMBS numbers)

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